createOptimalStatisticTimeSeries: extract optimization statistics from the optimization object
In erolbicero/propfolio: Propfolio Management

Description Usage Arguments Value Examples

extract optimization statistics from the optimization object

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createOptimalStatisticTimeSeries(optimizationResultsObject, statisticType,
  datePeriodType = "train", annualize = FALSE, indexType = "timeSeries",
  indexTimeSeriesFreq = "daily")

`optimizationResultsObject`	a list containing rolling statistics for an optimization
`statisticType`	character string, one of "opHoldings", "opWeights", "opER", "opSD", "opSharpe", "opIndex" for Optimal result; one of "mvHoldings", "mvWeights", "mvER", "mvSD", "mvSharpe", "mvIndex" for Minimum Variance result; or for a list of Efficient Fronter numbers, "ER" for expected return, "SD" for standard deviation, and "EF" for a list of matrices where the first column is standard deviation, and second column is expected return
`datePeriodType`	character string, one of "train", "test", currently assumes one month ahead, defaults to "train"
`annualize`	logical that will annualize Expected Return, Standard Deviation or Sharpe ratio, if it's not applicable, it will be ignored; defaults to FALSE
`indexType`	character string, one of "timeSeries" or "raw"; where "timeSeries" generates a daily xts object of the statistic, and "raw" appends the rolling time period to the statistic
`indexTimeSeriesFreq`	character string, one of "daily", "weekly", "monthly", or "yearly"; only applicable if indexType = "timeSeries", defaults to "daily"